I am currently working on estimating a cointegration model using the xtcointreg command in Stata.
1) Is it possible to include country fixed effects, time fixed effects, and a linear time trend simultaneously while estimating FMOLS and DOLS using the xtcointreg command?
2) If so, could you please provide guidance on the syntax or an example of how to properly specify these components in the xtcointreg command?
3) Are there any specific considerations or potential issues I should be aware of when including these fixed effects and trends in my estimation?
Thank you in advance for your help!
1) Is it possible to include country fixed effects, time fixed effects, and a linear time trend simultaneously while estimating FMOLS and DOLS using the xtcointreg command?
2) If so, could you please provide guidance on the syntax or an example of how to properly specify these components in the xtcointreg command?
3) Are there any specific considerations or potential issues I should be aware of when including these fixed effects and trends in my estimation?
Thank you in advance for your help!
